Benth, Fred Espen; Saltyte Benth, Jurate - In: Energy Economics 31 (2009) 1, pp. 16-24
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will...